Bayesian Analysis of DSGE Models

DOI10.1080/07474930701220071zbMath1112.62015OpenAlexW3125823678MaRDI QIDQ5292342

Frank Schorfheide, Sungbae An

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/362

zbMATH Keywords

Bayesian analysisvector autoregressionsrandom walk Metropolis algorithmmodel evaluationDSGE models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items

Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models ⋮ Striated Metropolis-Hastings sampler for high-dimensional models ⋮ Factor adjustment costs: a structural investigation ⋮ Cross-border banking flows spillovers in the eurozone: evidence from an estimated DSGE model ⋮ Methods for inference in large multiple-equation Markov-switching models ⋮ Disciplining expectations and the forward guidance puzzle ⋮ Testing the assumptions behind importance sampling ⋮ On the statistical identification of DSGE models ⋮ Estimation with overidentifying inequality moment conditions ⋮ Structural estimation of jump-diffusion processes in macroeconomics ⋮ Tailored randomized block MCMC methods with application to DSGE models ⋮ Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ Gauging the effects of fiscal stimulus packages in the Euro area ⋮ Learning, monetary policy rules, and macroeconomic stability ⋮ DSGE pileups ⋮ Monetary policy shocks: we got news! ⋮ Assessing DSGE model nonlinearities ⋮ Imperfect information and the house price in a general-equilibrium model ⋮ The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy ⋮ On the stability of Calvo-style price-setting behavior ⋮ Optimal inflation rates with the trending relative price of investment ⋮ Identification of DSGE models -- the effect of higher-order approximation and pruning ⋮ Refinements on macroeconomic modeling: the role of non-separability and heterogeneous labor supply ⋮ A Survey of Sequential Monte Carlo Methods for Economics and Finance ⋮ DSGE Models with Student-tErrors ⋮ An auxiliary particle filter for nonlinear dynamic equilibrium models ⋮ Stock market conditions and monetary policy in a DSGE model for the U.S. ⋮ Euro area inflation persistence in an estimated nonlinear DSGE model ⋮ Business cycles through international shocks: a structural investigation ⋮ The marginal likelihood of dynamic mixture models ⋮ Nontradable goods and the real exchange rate ⋮ What drives Ireland's housing market? A Bayesian DSGE approach ⋮ A solution to the global identification problem in DSGE models ⋮ Strategic interactions in U.S. monetary and fiscal policies ⋮ Monetary policy, external instruments, and heteroskedasticity ⋮ The extended perturbation method: With applications to the New Keynesian model and the zero lower bound ⋮ Investment shocks and the comovement problem ⋮ Business cycle implications of rising household credit market participation in emerging countries ⋮ Collateral quality and house prices ⋮ Bayesian prior elicitation in DSGE models: macro- vs micropriors ⋮ Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective ⋮ Bounded rationality and heterogeneous expectations: Euler versus anticipated-utility approach ⋮ Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model ⋮ Asset pricing with flexible beliefs ⋮ Local projections, autocorrelation, and efficiency ⋮ THE FEDERAL RESERVE'S IMPLICIT INFLATION TARGET AND MACROECONOMIC DYNAMICS: AN SVAR ANALYSIS ⋮ A Bayesian approach to optimal monetary policy with parameter and model uncertainty ⋮ Non-linear DSGE models and the optimized central difference particle filter ⋮ Global identification of linearized DSGE models ⋮ Quasi-Bayesian model selection ⋮ Bayesian inference for nonlinear structural time series models ⋮ Calvo vs. Rotemberg in a trend inflation world: an empirical investigation ⋮ Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models ⋮ Uncertainty shocks and firm creation: search and monitoring in the credit market ⋮ Learning and time-varying macroeconomic volatility ⋮ Evaluating the forecasting power of an open-economy DSGE model when estimated in a data-rich environment ⋮ Default recovery rates and aggregate fluctuations ⋮ Fiscal news and macroeconomic volatility ⋮ Second-order approximation of dynamic models with time-varying risk ⋮ Non-separability and sectoral comovement in a sticky price model ⋮ Evaluating monetary policy under preferences with zero wealth effect: a Bayesian approach ⋮ Consumer misperceptions, uncertain fundamentals, and the business cycle ⋮ The effects of public spending externalities ⋮ Penalized indirect inference ⋮ Evaluating DSGE model forecasts of comovements ⋮ Testing for weak identification in possibly nonlinear models ⋮ Dynamics of fiscal financing in the United States ⋮ Linear rational-expectations models with lagged expectations: a synthetic method ⋮ The diversity of forecasts from macroeconomic models of the US economy ⋮ The implications of inflation in an estimated New Keynesian model ⋮ Yield curve in an estimated nonlinear macro model ⋮ How to maximize the likelihood function for a DSGE model ⋮ Indeterminacy, change points and the price puzzle in an estimated DSGE model ⋮ Comparing DSGE-VAR forecasting models: how big are the differences? ⋮ Tractable likelihood-based estimation of nonlinear DSGE models ⋮ DSGE models with observation-driven time-varying volatility ⋮ CONSISTENT VARIANCE OF THE LAPLACE-TYPE ESTIMATORS: APPLICATION TO DSGE MODELS ⋮ Origins of monetary policy shifts: a new approach to regime switching in DSGE models ⋮ Efficient matrix approach for classical inference in state space models ⋮ Methods to estimate dynamic stochastic general equilibrium models ⋮ Small-Noise Analysis and Symmetrization of Implicit Monte Carlo Samplers ⋮ BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS ⋮ A naïve sticky information model of households' inflation expectations ⋮ Episodes of war and peace in an estimated open economy model ⋮ Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach ⋮ Introduction to the symposium on bubbles, multiple equilibria, and economic activities

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Comparing dynamic equilibrium models to data: a Bayesian approach
• A method for taking models to the data
• Comparing solution methods for dynamic equilibrium economies
• Euro-dollar real exchange rate dynamics in an estimated two-country model: an assessment
• Asymptotic expansions of posterior expectations, distributions and densities for stochastic processes
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• A Bayesian approach to dynamic macroeconomics
• Solving linear rational expectations models
• Solving dynamic equilibrium models by a method of undetermined coefficients
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Time to Build and Aggregate Fluctuations: Some New Evidence
• The Solution of Linear Difference Models under Rational Expectations
• Sampling and Bayes' Inference in Scientific Modelling and Robustness
• Time to Build and Aggregate Fluctuations
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
• Using simulation methods for bayesian econometric models: inference, development,and communication
• Accuracy in Simulations
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Filtering via Simulation: Auxiliary Particle Filters
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Marginal Likelihood From the Metropolis–Hastings Output
• Bayes Factors
• Econometric Model Determination
• Monte Carlo sampling methods using Markov chains and their applications
• Contemporary Bayesian Econometrics and Statistics
• Maximum Likelihood Estimation of Misspecified Models
• Accuracy of stochastic perturbation methods: The case of asset pricing models